Zhang, Liangquan Singular optimal controls for stochastic recursive systems under convex control constraint. (English) Zbl 07317492 J. Math. Anal. Appl. 497, No. 2, Article ID 124905, 44 p. (2021). MSC: 93E20 90C39 60H07 60H10 49L25 PDF BibTeX XML Cite \textit{L. Zhang}, J. Math. Anal. Appl. 497, No. 2, Article ID 124905, 44 p. (2021; Zbl 07317492) Full Text: DOI
Mikami, Toshio Regularity of Schrödinger’s functional equation in the weak topology and moment measures. (English) Zbl 07317364 J. Math. Soc. Japan 73, No. 1, 99-123 (2021). MSC: 60G30 93E20 PDF BibTeX XML Cite \textit{T. Mikami}, J. Math. Soc. Japan 73, No. 1, 99--123 (2021; Zbl 07317364) Full Text: DOI Euclid
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift. (English) Zbl 07317342 J. Appl. Probab. 58, No. 1, 197-216 (2021). MSC: 91G15 91G10 93E11 93E20 60F25 PDF BibTeX XML Cite \textit{J. Sass} et al., J. Appl. Probab. 58, No. 1, 197--216 (2021; Zbl 07317342) Full Text: DOI
Saarinen, Harto; Lempa, Jukka Ergodic control of diffusions with random intervention times. (English) Zbl 07317330 J. Appl. Probab. 58, No. 1, 1-21 (2021). MSC: 49J55 49N25 49L20 60J60 PDF BibTeX XML Cite \textit{H. Saarinen} and \textit{J. Lempa}, J. Appl. Probab. 58, No. 1, 1--21 (2021; Zbl 07317330) Full Text: DOI
Ramkumar, K.; Ravikumar, K.; Varshini, S. Fractional neutral stochastic differential equations with Caputo fractional derivative: fractional Brownian motion, Poisson jumps, and optimal control. (English) Zbl 07316866 Stochastic Anal. Appl. 39, No. 1, 157-176 (2021). MSC: 34K37 34K30 34K40 34K50 49J27 PDF BibTeX XML Cite \textit{K. Ramkumar} et al., Stochastic Anal. Appl. 39, No. 1, 157--176 (2021; Zbl 07316866) Full Text: DOI
Mei, Hongwei; Wei, Qingmeng; Yong, Jiongmin Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights. (English) Zbl 07315935 SIAM J. Control Optim. 59, No. 1, 584-613 (2021). MSC: 93E20 93C20 49N10 60F17 PDF BibTeX XML Cite \textit{H. Mei} et al., SIAM J. Control Optim. 59, No. 1, 584--613 (2021; Zbl 07315935) Full Text: DOI
Frison, Lilli; Kirches, Christian Convergence analysis and adaptive order selection for the polynomial chaos approach to direct optimal control under uncertainties. (English) Zbl 07315932 SIAM J. Control Optim. 59, No. 1, 509-533 (2021). MSC: 49K45 49J15 65K10 PDF BibTeX XML Cite \textit{L. Frison} and \textit{C. Kirches}, SIAM J. Control Optim. 59, No. 1, 509--533 (2021; Zbl 07315932) Full Text: DOI
Wang, L.; Wu, H.; Matveev, I. A. Stochastic gradient method with Barzilai-Borwein step for unconstrained nonlinear optimization. (English. Russian original) Zbl 07314536 J. Comput. Syst. Sci. Int. 60, No. 1, 75-86 (2021); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upravl. 2021, No. 1, 79-90 (2021). MSC: 93E20 93C10 PDF BibTeX XML Cite \textit{L. Wang} et al., J. Comput. Syst. Sci. Int. 60, No. 1, 75--86 (2021; Zbl 07314536); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upravl. 2021, No. 1, 79--90 (2021) Full Text: DOI
Lefebvre, Mario; Moutassim, Abderrazak Exact solutions to the homing problem for a Wiener process with jumps. (English) Zbl 07313468 Optimization 70, No. 2, 307-319 (2021). MSC: 93E20 60J70 93C15 PDF BibTeX XML Cite \textit{M. Lefebvre} and \textit{A. Moutassim}, Optimization 70, No. 2, 307--319 (2021; Zbl 07313468) Full Text: DOI
Safdari, Mohammad Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. (English) Zbl 07308684 J. Differ. Equations 279, 76-135 (2021). MSC: 35R35 35D40 35J87 35B65 49N60 91G20 93E20 PDF BibTeX XML Cite \textit{M. Safdari}, J. Differ. Equations 279, 76--135 (2021; Zbl 07308684) Full Text: DOI
Bayraktar, Erhan; Zhang, Xin Corrigendum to “On non-uniqueness in mean field games”. (English) Zbl 07308553 Proc. Am. Math. Soc. 149, No. 3, 1359-1360 (2021). MSC: 60F99 60J27 60K35 93E20 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{X. Zhang}, Proc. Am. Math. Soc. 149, No. 3, 1359--1360 (2021; Zbl 07308553) Full Text: DOI
Garreis, Sebastian; Surowiec, Thomas M.; Ulbrich, Michael An interior-point approach for solving risk-averse PDE-constrained optimization problems with coherent risk measures. (English) Zbl 07305920 SIAM J. Optim. 31, No. 1, 1-29 (2021). MSC: 49J20 49J50 49J55 49K20 49K45 90C15 PDF BibTeX XML Cite \textit{S. Garreis} et al., SIAM J. Optim. 31, No. 1, 1--29 (2021; Zbl 07305920) Full Text: DOI
Nakao, Hideaki; Jiang, Ruiwei; Shen, Siqian Distributionally robust partially observable Markov decision process with moment-based ambiguity. (English) Zbl 07304313 SIAM J. Optim. 31, No. 1, 461-488 (2021). MSC: 90C40 90C17 93E20 PDF BibTeX XML Cite \textit{H. Nakao} et al., SIAM J. Optim. 31, No. 1, 461--488 (2021; Zbl 07304313) Full Text: DOI
Li, Chang; Yong, Jiongmin A finite horizon optimal stochastic impulse control problem with a decision lag. (English) Zbl 07302974 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 28, No. 2, 89-123 (2021). MSC: 93E20 93C27 90C39 49L25 49N25 PDF BibTeX XML Cite \textit{C. Li} and \textit{J. Yong}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 28, No. 2, 89--123 (2021; Zbl 07302974) Full Text: Link
Gu, Xing; Mamon, Rogemar; Duprey, Thibaut; Xiong, Heng Online estimation for a predictive analytics platform with a financial-stability-analysis application. (English) Zbl 07299600 Eur. J. Control 57, 205-221 (2021). MSC: 91G15 91G45 93E10 93E11 PDF BibTeX XML Cite \textit{X. Gu} et al., Eur. J. Control 57, 205--221 (2021; Zbl 07299600) Full Text: DOI
Bezborodov, Viktor; Di Persio, Luca; Muradore, Riccardo Stabilization of planar non-Markovian switched linear systems with unbounded random delays. (English) Zbl 07299590 Eur. J. Control 57, 109-118 (2021). MSC: 93E15 93C30 93C05 93C43 PDF BibTeX XML Cite \textit{V. Bezborodov} et al., Eur. J. Control 57, 109--118 (2021; Zbl 07299590) Full Text: DOI
Xu, Fen; Yao, Dacheng; Zhang, Hanqin Impulse control with discontinuous setup costs: discounted cost criterion. (English) Zbl 07299446 SIAM J. Control Optim. 59, No. 1, 267-295 (2021). MSC: 90B05 93E20 60J70 49N25 PDF BibTeX XML Cite \textit{F. Xu} et al., SIAM J. Control Optim. 59, No. 1, 267--295 (2021; Zbl 07299446) Full Text: DOI
Li, Lin; Zhang, Huanshui; Wang, Yu Stabilization and optimal control of discrete-time systems with multiplicative noise and multiple input delays. (English) Zbl 07290586 Syst. Control Lett. 147, Article ID 104833, 13 p. (2021). MSC: 93E15 93E20 93C55 93C43 PDF BibTeX XML Cite \textit{L. Li} et al., Syst. Control Lett. 147, Article ID 104833, 13 p. (2021; Zbl 07290586) Full Text: DOI
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Kou, Bingyu Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model. (English) Zbl 1447.91154 J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021; Zbl 1447.91154) Full Text: DOI
Clairon, Quentin A regularization method for the parameter estimation problem in ordinary differential equations via discrete optimal control theory. (English) Zbl 1441.62074 J. Stat. Plann. Inference 210, 1-19 (2021). MSC: 62F10 60H10 49J15 62P10 PDF BibTeX XML Cite \textit{Q. Clairon}, J. Stat. Plann. Inference 210, 1--19 (2021; Zbl 1441.62074) Full Text: DOI
Noonan, Jack; Zhigljavsky, Anatoly Power of the MOSUM test for online detection of a transient change in mean. (English) Zbl 07316858 Sequential Anal. 39, No. 2, 269-293 (2020). MSC: 60G50 60G35 60G70 94C12 93E20 PDF BibTeX XML Cite \textit{J. Noonan} and \textit{A. Zhigljavsky}, Sequential Anal. 39, No. 2, 269--293 (2020; Zbl 07316858) Full Text: DOI
Yan, Zuomao; Jia, Xiumei Stepanov-like pseudo almost periodic solutions for impulsive perturbed partial stochastic differential equations and its optimal control. (English) Zbl 07315109 J. Appl. Anal. Comput. 10, No. 2, 530-568 (2020). MSC: 93E20 35R12 35R60 43A60 60H10 PDF BibTeX XML Cite \textit{Z. Yan} and \textit{X. Jia}, J. Appl. Anal. Comput. 10, No. 2, 530--568 (2020; Zbl 07315109) Full Text: DOI
Boldinov, V. A.; Bukhalev, V. A.; Skrynnikov, A. A. Game-theoretic control of the object’s random jump structure in the class of pure strategies. (English. Russian original) Zbl 07314492 J. Comput. Syst. Sci. Int. 59, No. 4, 494-503 (2020); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upravl. 2020, No. 4, 18-27 (2020). MSC: 93E20 91A27 91A80 PDF BibTeX XML Cite \textit{V. A. Boldinov} et al., J. Comput. Syst. Sci. Int. 59, No. 4, 494--503 (2020; Zbl 07314492); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upravl. 2020, No. 4, 18--27 (2020) Full Text: DOI
Sagadeeva, M. A.; Bychkov, E. V.; Tsyplenkova, O. N. The Pyt’ev-Chulichkov method for constructing a measurement in the Shestakov-Sviridyuk model. (Russian. English summary) Zbl 07312383 Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 13, No. 4, 81-93 (2020). MSC: 60H40 62M86 49J15 PDF BibTeX XML Cite \textit{M. A. Sagadeeva} et al., Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 13, No. 4, 81--93 (2020; Zbl 07312383) Full Text: DOI MNR
Hamadène, Said; Mu, Rui Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games. (English) Zbl 07312352 Stochastic Processes Appl. 130, No. 11, 6901-6926 (2020). MSC: 49N70 49N90 91A15 60H PDF BibTeX XML Cite \textit{S. Hamadène} and \textit{R. Mu}, Stochastic Processes Appl. 130, No. 11, 6901--6926 (2020; Zbl 07312352) Full Text: DOI
Arapostathis, Ari; Pang, Guodong; Zheng, Yi Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis. (English) Zbl 07312346 Stochastic Processes Appl. 130, No. 11, 6733-6756 (2020). MSC: 93E20 60J74 60J60 93C20 35F21 93E15 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., Stochastic Processes Appl. 130, No. 11, 6733--6756 (2020; Zbl 07312346) Full Text: DOI
Ignatov, A. N. On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion. (English. Russian original) Zbl 07312190 Autom. Remote Control 81, No. 12, 2181-2193 (2020); translation from Avtom. Telemekh. 2020, No. 12, 50-66 (2020). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. N. Ignatov}, Autom. Remote Control 81, No. 12, 2181--2193 (2020; Zbl 07312190); translation from Avtom. Telemekh. 2020, No. 12, 50--66 (2020) Full Text: DOI
Azanov, V. M. Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time. (English. Russian original) Zbl 07312188 Autom. Remote Control 81, No. 12, 2143-2159 (2020); translation from Avtom. Telemekh. 2020, No. 12, 3-23 (2020). MSC: 93E20 93C55 PDF BibTeX XML Cite \textit{V. M. Azanov}, Autom. Remote Control 81, No. 12, 2143--2159 (2020; Zbl 07312188); translation from Avtom. Telemekh. 2020, No. 12, 3--23 (2020) Full Text: DOI
Sinitsyn, I. N.; Sinitsyn, V. I.; Korepanov, E. R.; Konashenkova, T. D. Optimization of linear stochastic systems based on canonical wavelet expansions. (English. Russian original) Zbl 07312182 Autom. Remote Control 81, No. 11, 2046-2061 (2020); translation from Avtom. Telemekh. 2020, No. 11, 136-154 (2020). MSC: 93E03 93C05 93-08 65T40 PDF BibTeX XML Cite \textit{I. N. Sinitsyn} et al., Autom. Remote Control 81, No. 11, 2046--2061 (2020; Zbl 07312182); translation from Avtom. Telemekh. 2020, No. 11, 136--154 (2020) Full Text: DOI
Bortakovskii, A. S. Separation theorem for average optimal control for hybrid systems of variable dimension. (English. Russian original) Zbl 07312178 Autom. Remote Control 81, No. 11, 1974-1993 (2020); translation from Avtom. Telemekh. 2020, No. 11, 46-71 (2020). MSC: 93E20 93C30 93C05 PDF BibTeX XML Cite \textit{A. S. Bortakovskii}, Autom. Remote Control 81, No. 11, 1974--1993 (2020; Zbl 07312178); translation from Avtom. Telemekh. 2020, No. 11, 46--71 (2020) Full Text: DOI
Bosov, A. V. Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system. (English. Russian original) Zbl 07312177 Autom. Remote Control 81, No. 11, 1963-1973 (2020); translation from Avtom. Telemekh. 2020, No. 11, 32-45 (2020). MSC: 93E11 93C10 60H10 PDF BibTeX XML Cite \textit{A. V. Bosov}, Autom. Remote Control 81, No. 11, 1963--1973 (2020; Zbl 07312177); translation from Avtom. Telemekh. 2020, No. 11, 32--45 (2020) Full Text: DOI
Fouque, Jean-Pierre Book review: Probabilistic theory of mean field games. Volumes I & II. (English) Zbl 07308987 Notices Am. Math. Soc. 67, No. 6, 855-859 (2020). MSC: 00A17 91-02 91A15 91A23 91A55 91A80 60H30 93E20 PDF BibTeX XML Cite \textit{J.-P. Fouque}, Notices Am. Math. Soc. 67, No. 6, 855--859 (2020; Zbl 07308987) Full Text: DOI
Fouque, Jean-Pierre; Hu, Ruimeng Multiscale asymptotic analysis for portfolio optimization under stochastic environment. (English) Zbl 07308311 Multiscale Model. Simul. 18, No. 3, 1318-1342 (2020). MSC: 91G10 93E20 35Q91 35C20 PDF BibTeX XML Cite \textit{J.-P. Fouque} and \textit{R. Hu}, Multiscale Model. Simul. 18, No. 3, 1318--1342 (2020; Zbl 07308311) Full Text: DOI
Pramanik, Paramahansa Optimization of market stochastic dynamics. (English) Zbl 07307564 SN Oper. Res. Forum 1, No. 4, Paper No. 31, 18 p. (2020). MSC: 91B26 91B80 93E20 PDF BibTeX XML Cite \textit{P. Pramanik}, SN Oper. Res. Forum 1, No. 4, Paper No. 31, 18 p. (2020; Zbl 07307564) Full Text: DOI
Damm, Tobias; Jacob, Birgit On coercivity and the frequency domain condition in indefinite LQ-control. (English) Zbl 07307068 Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1-2, 553-563 (2020). MSC: 93C80 49N10 15A24 93E03 PDF BibTeX XML Cite \textit{T. Damm} and \textit{B. Jacob}, Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1--2, 553--563 (2020; Zbl 07307068) Full Text: Link
Mukaidani, Hiroaki; Saravanakumar, Ramasamy; Xu, Hua; Zhuang, Weihua Robust static output feedback Stackelberg strategy for Markov jump delay stochastic systems. (English) Zbl 07307064 Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1-2, 476-500 (2020). MSC: 49N90 70E60 93B36 93E20 PDF BibTeX XML Cite \textit{H. Mukaidani} et al., Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1--2, 476--500 (2020; Zbl 07307064) Full Text: Link
de Oliveira, André M.; Costa, Oswaldo L. V. On the \(H_2\) static output feedback control for hidden Markov jump linear systems. (English) Zbl 07307060 Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1-2, 405-424 (2020). MSC: 93C05 93C55 93E20 60J10 93E25 PDF BibTeX XML Cite \textit{A. M. de Oliveira} and \textit{O. L. V. Costa}, Ann. Acad. Rom. Sci., Math. Appl. 12, No. 1--2, 405--424 (2020; Zbl 07307060) Full Text: Link
Han, Xiao; Ji, Zhijian; Qi, Qingyuan Optimal control for networked control systems with Markovian packet losses. (English) Zbl 07306796 Complexity 2020, Article ID 4804320, 11 p. (2020). MSC: 93A14 93E20 93B53 PDF BibTeX XML Cite \textit{X. Han} et al., Complexity 2020, Article ID 4804320, 11 p. (2020; Zbl 07306796) Full Text: DOI
Xu, Ruimin; Guo, Rongwei Pontryagin’s maximum principle for optimal control of stochastic SEIR models. (English) Zbl 1453.92331 Complexity 2020, Article ID 6479087, 5 p. (2020). MSC: 92D30 93E20 PDF BibTeX XML Cite \textit{R. Xu} and \textit{R. Guo}, Complexity 2020, Article ID 6479087, 5 p. (2020; Zbl 1453.92331) Full Text: DOI
Zheng, Yueyang; Shi, Jingtao A Stackelberg game of backward stochastic differential equations with applications. (English) Zbl 07301388 Dyn. Games Appl. 10, No. 4, 968-992 (2020). MSC: 91A65 91A80 49N10 60H10 91G15 PDF BibTeX XML Cite \textit{Y. Zheng} and \textit{J. Shi}, Dyn. Games Appl. 10, No. 4, 968--992 (2020; Zbl 07301388) Full Text: DOI
Chen, Li; Wu, Zhen Stochastic optimal control problem in advertising model with delay. (English) Zbl 07299311 J. Syst. Sci. Complex. 33, No. 4, 968-987 (2020). MSC: 93E20 90B60 93C43 93C25 PDF BibTeX XML Cite \textit{L. Chen} and \textit{Z. Wu}, J. Syst. Sci. Complex. 33, No. 4, 968--987 (2020; Zbl 07299311) Full Text: DOI
Archibald, Richard; Bao, Feng; Yong, Jiongmin; Zhou, Tao An efficient numerical algorithm for solving data driven feedback control problems. (English) Zbl 07299276 J. Sci. Comput. 85, No. 2, Paper No. 51, 26 p. (2020). MSC: 93E20 93B52 60G35 65K10 PDF BibTeX XML Cite \textit{R. Archibald} et al., J. Sci. Comput. 85, No. 2, Paper No. 51, 26 p. (2020; Zbl 07299276) Full Text: DOI
Xu, Yuqian; Zhu, Lingjiong; Pinedo, Michael Operational risk management: a stochastic control framework with preventive and corrective controls. (English) Zbl 07298151 Oper. Res. 68, No. 6, 1804-1825 (2020). MSC: 91G45 93E20 PDF BibTeX XML Cite \textit{Y. Xu} et al., Oper. Res. 68, No. 6, 1804--1825 (2020; Zbl 07298151) Full Text: DOI
Chen, Mingliu; Sun, Peng; Xiao, Yongbo Optimal monitoring schedule in dynamic contracts. (English) Zbl 07298120 Oper. Res. 68, No. 5, 1285-1314 (2020). MSC: 90B36 PDF BibTeX XML Cite \textit{M. Chen} et al., Oper. Res. 68, No. 5, 1285--1314 (2020; Zbl 07298120) Full Text: DOI
Bezerra, Sérgio C.; Ohashi, Alberto; Russo, Francesco; de Souza, Francys Discrete-type approximations for non-Markovian optimal stopping problems. II. (English) Zbl 07297555 Methodol. Comput. Appl. Probab. 22, No. 3, 1221-1255 (2020). MSC: 93E20 60G40 PDF BibTeX XML Cite \textit{S. C. Bezerra} et al., Methodol. Comput. Appl. Probab. 22, No. 3, 1221--1255 (2020; Zbl 07297555) Full Text: DOI
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph Executive stock option exercise with full and partial information on a drift change point. (English) Zbl 07296664 SIAM J. Financ. Math. 11, No. 4, 1007-1062 (2020). MSC: 91G20 60G40 35Q91 93E11 PDF BibTeX XML Cite \textit{V. Henderson} et al., SIAM J. Financ. Math. 11, No. 4, 1007--1062 (2020; Zbl 07296664) Full Text: DOI
Weng, Peter Chang-Yi Perturbation analysis of rational Riccati equations. (English) Zbl 07296443 Ann. Math. Sci. Appl. 5, No. 2, 349-373 (2020). MSC: 15A24 93E03 93E20 PDF BibTeX XML Cite \textit{P. C. Y. Weng}, Ann. Math. Sci. Appl. 5, No. 2, 349--373 (2020; Zbl 07296443) Full Text: DOI
Lai, Tze L.; Liao, Shih-Wei; Wong, Samuel P. S.; Xu, Huanzhong Statistical models and stochastic optimization in financial technology and investment science. (English) Zbl 07296442 Ann. Math. Sci. Appl. 5, No. 2, 317-345 (2020). MSC: 91G15 91G10 62P05 93E20 91-02 PDF BibTeX XML Cite \textit{T. L. Lai} et al., Ann. Math. Sci. Appl. 5, No. 2, 317--345 (2020; Zbl 07296442) Full Text: DOI
Fu, Yu; Zhao, Weidong; Zhou, Tao Highly accurate numerical schemes for stochastic optimal control via FBSDEs. (English) Zbl 07296120 Numer. Math., Theory Methods Appl. 13, No. 2, 296-319 (2020). MSC: 65C30 93E20 93E25 PDF BibTeX XML Cite \textit{Y. Fu} et al., Numer. Math., Theory Methods Appl. 13, No. 2, 296--319 (2020; Zbl 07296120) Full Text: DOI
Sun, Qi; Tao, Yunzhe; Du, Qiang Stochastic training of residual networks in deep learning. (Chinese. English summary) Zbl 07295998 Math. Numer. Sin. 42, No. 3, 349-369 (2020). MSC: 68T05 93E35 49J15 49J20 PDF BibTeX XML Cite \textit{Q. Sun} et al., Math. Numer. Sin. 42, No. 3, 349--369 (2020; Zbl 07295998)
Wang, Tao; Luo, Minna; Wang, Na; Cui, Lili Finite-time stochastic linear quadratic optimal control based on \(Q\)-learning. (Chinese. English summary) Zbl 07295674 J. Shenyang Norm. Univ., Nat. Sci. 38, No. 3, 207-213 (2020). MSC: 49K45 93E20 49N10 PDF BibTeX XML Cite \textit{T. Wang} et al., J. Shenyang Norm. Univ., Nat. Sci. 38, No. 3, 207--213 (2020; Zbl 07295674) Full Text: DOI
Hong, Yue; Yin, Liping Genetic algorithm-based stochastic distribution control for non-Gaussian systems. (Chinese. English summary) Zbl 07295508 J. Nanjing Univ. Inf. Sci. Technol., Nat. Sci. 12, No. 4, 504-509 (2020). MSC: 93E20 68W50 PDF BibTeX XML Cite \textit{Y. Hong} and \textit{L. Yin}, J. Nanjing Univ. Inf. Sci. Technol., Nat. Sci. 12, No. 4, 504--509 (2020; Zbl 07295508) Full Text: DOI
Xu, Jie; Lv, Xianrui Maximum principle for backward doubly stochastic control system with time delay. (Chinese. English summary) Zbl 07295375 J. Jilin Univ., Sci. 58, No. 3, 493-497 (2020). MSC: 93E20 93C43 93C15 60H10 PDF BibTeX XML Cite \textit{J. Xu} and \textit{X. Lv}, J. Jilin Univ., Sci. 58, No. 3, 493--497 (2020; Zbl 07295375) Full Text: DOI
Zhao, Xiaoyin; Yang, Liu Reconstructing implied volatility based on mean-reverting price processes. (English) Zbl 07295154 J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329-337 (2020). MSC: 91G20 93E20 91G80 PDF BibTeX XML Cite \textit{X. Zhao} and \textit{L. Yang}, J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329--337 (2020; Zbl 07295154) Full Text: DOI
Ge, Liang; Shen, Wanfang; Liu, Wenbin Meshfree finite volume element method for constrained optimal control problem governed by random convection diffusion equations. (English) Zbl 07295063 Commun. Math. Res. 36, No. 2, 229-246 (2020). MSC: 65M08 49J20 49J55 PDF BibTeX XML Cite \textit{L. Ge} et al., Commun. Math. Res. 36, No. 2, 229--246 (2020; Zbl 07295063) Full Text: DOI
Zverev, O. V.; Khametov, V. M.; Shelemekh, E. A. Optimal stopping time for geometric random walks with power payoff function. (English. Russian original) Zbl 07294511 Autom. Remote Control 81, No. 7, 1192-1210 (2020); translation from Avtom. Telemekh. 2020, No. 7, 34-55 (2020). MSC: 93E20 60G40 60G50 PDF BibTeX XML Cite \textit{O. V. Zverev} et al., Autom. Remote Control 81, No. 7, 1192--1210 (2020; Zbl 07294511); translation from Avtom. Telemekh. 2020, No. 7, 34--55 (2020) Full Text: DOI
Paraev, Yu. I.; Poluektova, K. O. Optimal control of a single-sector economy under random variations of fixed capital and labor resources. (English. Russian original) Zbl 07294445 Autom. Remote Control 81, No. 4, 704-712 (2020); translation from Avtom. Telemekh. 2020, No. 4, 162-172 (2020). MSC: 91B62 93E20 90C39 PDF BibTeX XML Cite \textit{Yu. I. Paraev} and \textit{K. O. Poluektova}, Autom. Remote Control 81, No. 4, 704--712 (2020; Zbl 07294445); translation from Avtom. Telemekh. 2020, No. 4, 162--172 (2020) Full Text: DOI
Sinitsyn, I. N.; Sinitsyn, V. I.; Korepanov, E. R. Extending the theory of Liptser-Shiryaev filters. (English. Russian original) Zbl 07294437 Autom. Remote Control 81, No. 4, 602-613 (2020); translation from Avtom. Telemekh. 2020, No. 4, 37-51 (2020). MSC: 93E11 PDF BibTeX XML Cite \textit{I. N. Sinitsyn} et al., Autom. Remote Control 81, No. 4, 602--613 (2020; Zbl 07294437); translation from Avtom. Telemekh. 2020, No. 4, 37--51 (2020) Full Text: DOI
Rubinovich, E. Ya. On the program character of trajectory control over observations of a moving target. (English. Russian original) Zbl 07294384 Autom. Remote Control 81, No. 3, 503-516 (2020); translation from Avtom. Telemekh. 2020, No. 3, 157-173 (2020). MSC: 93E20 49N10 93C15 93C10 PDF BibTeX XML Cite \textit{E. Ya. Rubinovich}, Autom. Remote Control 81, No. 3, 503--516 (2020; Zbl 07294384); translation from Avtom. Telemekh. 2020, No. 3, 157--173 (2020) Full Text: DOI
Kuznetsov, N. A.; Semenikhin, K. V. Analysis and optimization of a controlled model for a closed queueing network. (English. Russian original) Zbl 07294380 Autom. Remote Control 81, No. 3, 430-444 (2020); translation from Avtom. Telemekh. 2020, No. 3, 67-85 (2020). MSC: 94A05 68M12 93C41 60J10 93E20 PDF BibTeX XML Cite \textit{N. A. Kuznetsov} and \textit{K. V. Semenikhin}, Autom. Remote Control 81, No. 3, 430--444 (2020; Zbl 07294380); translation from Avtom. Telemekh. 2020, No. 3, 67--85 (2020) Full Text: DOI
Kleptsyna, M. L.; Marushkevych, D. A.; Chigansky, P. Yu. Asymptotic accuracy in estimation of a fractional signal in a small white noise. (English. Russian original) Zbl 07294379 Autom. Remote Control 81, No. 3, 411-429 (2020); translation from Avtom. Telemekh. 2020, No. 3, 44-66 (2020). MSC: 93E11 93C05 60G22 60H40 PDF BibTeX XML Cite \textit{M. L. Kleptsyna} et al., Autom. Remote Control 81, No. 3, 411--429 (2020; Zbl 07294379); translation from Avtom. Telemekh. 2020, No. 3, 44--66 (2020) Full Text: DOI
Prilutskii, M. Kh. Programmed control of two-stage stochastic production systems. (English. Russian original) Zbl 07294349 Autom. Remote Control 81, No. 1, 64-73 (2020); translation from Avtom. Telemekh. 2020, No. 1, 82-92 (2020). MSC: 93E20 90B30 PDF BibTeX XML Cite \textit{M. Kh. Prilutskii}, Autom. Remote Control 81, No. 1, 64--73 (2020; Zbl 07294349); translation from Avtom. Telemekh. 2020, No. 1, 82--92 (2020) Full Text: DOI
Palamarchuk, E. S. Optimal controller for a nonautonomous linear stochastic system with a two-sided cost functional. (English. Russian original) Zbl 07294348 Autom. Remote Control 81, No. 1, 53-63 (2020); translation from Avtom. Telemekh. 2020, No. 1, 67-80 (2020). MSC: 93E20 93C05 PDF BibTeX XML Cite \textit{E. S. Palamarchuk}, Autom. Remote Control 81, No. 1, 53--63 (2020; Zbl 07294348); translation from Avtom. Telemekh. 2020, No. 1, 67--80 (2020) Full Text: DOI
Chala, Adel; Hafayed, Dahbia On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application. (English) Zbl 07293774 Evol. Equ. Control Theory 9, No. 3, 817-843 (2020). MSC: 91G05 93E20 60H10 PDF BibTeX XML Cite \textit{A. Chala} and \textit{D. Hafayed}, Evol. Equ. Control Theory 9, No. 3, 817--843 (2020; Zbl 07293774) Full Text: DOI
Pfeiffer, Laurent Optimality conditions in variational form for non-linear constrained stochastic control problems. (English) Zbl 1452.90230 Math. Control Relat. Fields 10, No. 3, 493-526 (2020). MSC: 90C15 93E20 49J53 49K99 PDF BibTeX XML Cite \textit{L. Pfeiffer}, Math. Control Relat. Fields 10, No. 3, 493--526 (2020; Zbl 1452.90230) Full Text: DOI
Barashkov, N.; Gubinelli, M. A variational method for \(\Phi^4_3\). (English) Zbl 07292332 Duke Math. J. 169, No. 17, 3339-3415 (2020). MSC: 81T08 81T17 93E20 PDF BibTeX XML Cite \textit{N. Barashkov} and \textit{M. Gubinelli}, Duke Math. J. 169, No. 17, 3339--3415 (2020; Zbl 07292332) Full Text: DOI Euclid
Azanov, V. M.; Tarasov, A. N. Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function. (English. Russian original) Zbl 07291711 Autom. Remote Control 81, No. 10, 1819-1839 (2020); translation from Avtom. Telemekh. 2020, No. 10, 93-117 (2020). MSC: 93E20 93C55 90C39 PDF BibTeX XML Cite \textit{V. M. Azanov} and \textit{A. N. Tarasov}, Autom. Remote Control 81, No. 10, 1819--1839 (2020; Zbl 07291711); translation from Avtom. Telemekh. 2020, No. 10, 93--117 (2020) Full Text: DOI
Ernst, Philip A.; Rogers, L. C. G. The value of insight. (English) Zbl 07291313 Math. Oper. Res. 45, No. 4, 1193-1209 (2020). MSC: 91G15 93E20 PDF BibTeX XML Cite \textit{P. A. Ernst} and \textit{L. C. G. Rogers}, Math. Oper. Res. 45, No. 4, 1193--1209 (2020; Zbl 07291313) Full Text: DOI
Ferrari, Giorgio; Vargiolu, Tiziano On the singular control of exchange rates. (English) Zbl 07290760 Ann. Oper. Res. 292, No. 2, 795-832 (2020). MSC: 91B64 93E20 60J60 60G40 PDF BibTeX XML Cite \textit{G. Ferrari} and \textit{T. Vargiolu}, Ann. Oper. Res. 292, No. 2, 795--832 (2020; Zbl 07290760) Full Text: DOI
Zhang, Shuaiqi; Li, Xun; Xiong, Jie A stochastic maximum principle for partially observed stochastic control systems with delay. (English) Zbl 07290573 Syst. Control Lett. 146, Article ID 104812, 8 p. (2020). MSC: 93E20 93C23 34K50 PDF BibTeX XML Cite \textit{S. Zhang} et al., Syst. Control Lett. 146, Article ID 104812, 8 p. (2020; Zbl 07290573) Full Text: DOI
Deng, Chao; Bian, Wenlong; Wu, Baiyi Optimal reinsurance and investment problem with default risk and bounded memory. (English) Zbl 07290342 Int. J. Control 93, No. 12, 2982-2994 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{C. Deng} et al., Int. J. Control 93, No. 12, 2982--2994 (2020; Zbl 07290342) Full Text: DOI
Han, Xia; Liang, Zhibin; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. (English) Zbl 07286461 Scand. Actuar. J. 2020, No. 10, 879-903 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Han} et al., Scand. Actuar. J. 2020, No. 10, 879--903 (2020; Zbl 07286461) Full Text: DOI
Chabanyuk, Yaroslav; Nikitin, Anatolii; Khimka, Uliana Asymptotic analyses for complex evolutionary systems with Markov and semi-Markov switching using approximation schemes. (English) Zbl 07286290 Hoboken, NJ: John Wiley & Sons (ISBN 978-1-78630-556-5/hbk; 978-1-119-77975-9/ebook). 240 p. (2020). MSC: 93-02 60-02 93E15 93E20 60J60 60G51 PDF BibTeX XML Cite \textit{Y. Chabanyuk} et al., Asymptotic analyses for complex evolutionary systems with Markov and semi-Markov switching using approximation schemes. Hoboken, NJ: John Wiley \& Sons (2020; Zbl 07286290) Full Text: DOI
Lindensjö, Kristoffer; Lindskog, Filip Optimal dividends and capital injection under dividend restrictions. (English) Zbl 07285846 Math. Methods Oper. Res. 92, No. 3, 461-487 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{K. Lindensjö} and \textit{F. Lindskog}, Math. Methods Oper. Res. 92, No. 3, 461--487 (2020; Zbl 07285846) Full Text: DOI
Jasso-Fuentes, Héctor; Menaldi, José-Luis; Prieto-Rumeau, Tomás Discrete-time control with non-constant discount factor. (English) Zbl 07285843 Math. Methods Oper. Res. 92, No. 2, 377-399 (2020). MSC: 93C55 93E20 60G40 90C40 PDF BibTeX XML Cite \textit{H. Jasso-Fuentes} et al., Math. Methods Oper. Res. 92, No. 2, 377--399 (2020; Zbl 07285843) Full Text: DOI
Eisenberg, Julia; Mishura, Yuliya Optimising dividends and consumption under an exponential CIR as a discount factor. (English) Zbl 07285840 Math. Methods Oper. Res. 92, No. 2, 285-309 (2020). MSC: 91G05 91B42 93E20 60J70 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{Y. Mishura}, Math. Methods Oper. Res. 92, No. 2, 285--309 (2020; Zbl 07285840) Full Text: DOI
Zrazhevsky, G. M.; Golodnikov, A. N.; Uryasev, S. P.; Zrazhevsky, A. G. Application of buffered probability of exceedance in reliability optimization problems. (English. Russian original) Zbl 07285103 Cybern. Syst. Anal. 56, No. 3, 476-484 (2020); translation from Kibern. Sist. Anal. 2020, No. 3, 152-162 (2020). MSC: 74M05 74H45 74K10 74P10 74S60 93E20 PDF BibTeX XML Cite \textit{G. M. Zrazhevsky} et al., Cybern. Syst. Anal. 56, No. 3, 476--484 (2020; Zbl 07285103); translation from Kibern. Sist. Anal. 2020, No. 3, 152--162 (2020) Full Text: DOI
Norkin, V. I. Generalized gradients in dynamic optimization, optimal control, and machine learning problems. (English. Russian original) Zbl 07284555 Cybern. Syst. Anal. 56, No. 2, 243-258 (2020); translation from Kibern. Sist. Anal. 2020, No. 2, 89-107 (2020). MSC: 68T PDF BibTeX XML Cite \textit{V. I. Norkin}, Cybern. Syst. Anal. 56, No. 2, 243--258 (2020; Zbl 07284555); translation from Kibern. Sist. Anal. 2020, No. 2, 89--107 (2020) Full Text: DOI
Vlasenko, L. A.; Rutkas, A. G.; Semenets, V. V.; Chikrii, A. A. Stochastic optimal control of a descriptor system. (English. Russian original) Zbl 07284551 Cybern. Syst. Anal. 56, No. 2, 204-212 (2020); translation from Kibern. Sist. Anal. 2020, No. 2, 42-52 (2020). MSC: 93E20 93E11 93C15 60H10 PDF BibTeX XML Cite \textit{L. A. Vlasenko} et al., Cybern. Syst. Anal. 56, No. 2, 204--212 (2020; Zbl 07284551); translation from Kibern. Sist. Anal. 2020, No. 2, 42--52 (2020) Full Text: DOI
Ermoliev, Yu. M.; Norkin, V. I.; Norkin, B. V. Stochastic optimization models of actuarial mathematics. (English. Russian original) Zbl 07284475 Cybern. Syst. Anal. 56, No. 1, 58-67 (2020); translation from Kibern. Sist. Anal. 2020, No. 1, 70-81 (2020). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 93E20 90C15 PDF BibTeX XML Cite \textit{Yu. M. Ermoliev} et al., Cybern. Syst. Anal. 56, No. 1, 58--67 (2020; Zbl 07284475); translation from Kibern. Sist. Anal. 2020, No. 1, 70--81 (2020) Full Text: DOI
Jiao, Chunxi; Kawai, Reiichiro Computable primal and dual bounds for stochastic control. (English) Zbl 07283572 SIAM J. Control Optim. 58, No. 6, 3709-3733 (2020). MSC: 93E20 93C20 90C05 PDF BibTeX XML Cite \textit{C. Jiao} and \textit{R. Kawai}, SIAM J. Control Optim. 58, No. 6, 3709--3733 (2020; Zbl 07283572) Full Text: DOI
Zhang, Kaiqing; Koppel, Alec; Zhu, Hao; Başar, Tamer Global convergence of policy gradient methods to (almost) locally optimal policies. (English) Zbl 1451.93379 SIAM J. Control Optim. 58, No. 6, 3586-3612 (2020). MSC: 93E03 93E35 93E20 PDF BibTeX XML Cite \textit{K. Zhang} et al., SIAM J. Control Optim. 58, No. 6, 3586--3612 (2020; Zbl 1451.93379) Full Text: DOI
Guéant, Olivier; Manziuk, Iuliia; Pu, Jiang Accelerated share repurchase and other buyback programs: what neural networks can bring. (English) Zbl 07282783 Quant. Finance 20, No. 8, 1389-1404 (2020). MSC: 91G20 60G40 93E20 PDF BibTeX XML Cite \textit{O. Guéant} et al., Quant. Finance 20, No. 8, 1389--1404 (2020; Zbl 07282783) Full Text: DOI
Book review of: B. Øksendal and A. Sulem, Applied stochastic control of jump diffusions. (English) Zbl 07282775 Quant. Finance 20, No. 8, 1237-1238 (2020). MSC: 00A17 93-02 93E20 60-02 60G40 60J60 60J75 60G51 60H15 49L25 49J20 91A15 91A23 91G20 91G80 90C39 PDF BibTeX XML Cite Quant. Finance 20, No. 8, 1237--1238 (2020; Zbl 07282775) Full Text: DOI
Lleo, Sébastien Book review of: A. N. Shiryaev, Stochastic disorder problems. (English) Zbl 1451.00042 Quant. Finance 20, No. 7, 1057-1058 (2020). MSC: 00A17 93-02 60-02 93E03 93E10 62C10 60G40 60G22 60J65 91G99 PDF BibTeX XML Cite \textit{S. Lleo}, Quant. Finance 20, No. 7, 1057--1058 (2020; Zbl 1451.00042) Full Text: DOI
Baten, Md. Azizul; Khalid, Ruzelan A stochastic control model of investment and consumption with applications to financial economics. (English) Zbl 1453.49008 Stoch. Qual. Control 35, No. 2, 43-55 (2020). MSC: 49J55 93E20 60J28 91B70 35F21 PDF BibTeX XML Cite \textit{Md. A. Baten} and \textit{R. Khalid}, Stoch. Qual. Control 35, No. 2, 43--55 (2020; Zbl 1453.49008) Full Text: DOI
Köppe, Jeanette; Patzold, Markus; Beyer, Michael; Grecksch, Wilfried; Paul, Wolfgang Quantum Hamilton equations from stochastic optimal control theory. (English) Zbl 1453.49014 Grecksch, Wilfried (ed.) et al., Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 213-250 (2020). MSC: 49K45 49J55 83C55 76Y05 35R60 PDF BibTeX XML Cite \textit{J. Köppe} et al., in: Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 213--250 (2020; Zbl 1453.49014) Full Text: DOI
Benner, Peter; Trautwein, Christoph Optimal control of the stochastic Navier-Stokes equations. (English) Zbl 07279978 Grecksch, Wilfried (ed.) et al., Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific (ISBN 978-981-12-0978-9/hbk; 978-981-12-0980-2/ebook). 161-211 (2020). Reviewer: Piotr Biler (Wrocław) MSC: 49K45 35Q30 35R60 60H30 PDF BibTeX XML Cite \textit{P. Benner} and \textit{C. Trautwein}, in: Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 161--211 (2020; Zbl 07279978) Full Text: DOI
Grecksch, Wilfried; Lisei, Hannelore Stochastic Schrödinger equations. (English) Zbl 1453.49009 Grecksch, Wilfried (ed.) et al., Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 115-160 (2020). MSC: 49J55 60H15 35R60 60H30 60G22 PDF BibTeX XML Cite \textit{W. Grecksch} and \textit{H. Lisei}, in: Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 115--160 (2020; Zbl 1453.49009) Full Text: DOI
Azimi, Mahdi; Grecksch, Wilfried Stochastic Itô-Volterra backward equations in Banach spaces. (English) Zbl 07279976 Grecksch, Wilfried (ed.) et al., Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific (ISBN 978-981-12-0978-9/hbk; 978-981-12-0980-2/ebook). 61-113 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H15 35R60 60H30 49K45 PDF BibTeX XML Cite \textit{M. Azimi} and \textit{W. Grecksch}, in: Infinite dimensional and finite dimensional stochastic equations and applications in physics. Hackensack, NJ: World Scientific. 61--113 (2020; Zbl 07279976) Full Text: DOI
Pérez, José-Luis; Yamazaki, Kazutoshi; Bensoussan, Alain Optimal periodic replenishment policies for spectrally positive Lévy demand processes. (English) Zbl 07278849 SIAM J. Control Optim. 58, No. 6, 3428-3456 (2020). MSC: 60G51 93E20 90B05 PDF BibTeX XML Cite \textit{J.-L. Pérez} et al., SIAM J. Control Optim. 58, No. 6, 3428--3456 (2020; Zbl 07278849) Full Text: DOI
Vieten, Martin G.; Stockbridge, Richard H. On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems. (English) Zbl 1453.93244 SIAM J. Control Optim. 58, No. 6, 3363-3388 (2020). MSC: 93E20 90C05 PDF BibTeX XML Cite \textit{M. G. Vieten} and \textit{R. H. Stockbridge}, SIAM J. Control Optim. 58, No. 6, 3363--3388 (2020; Zbl 1453.93244) Full Text: DOI
Carmona, René; Delarue, François; Lacker, Daniel Erratum to: “Mean field games with common noise”. (English) Zbl 07276936 Ann. Probab. 48, No. 5, 2644-2646 (2020). MSC: 91A15 91A23 93E20 60H10 PDF BibTeX XML Cite \textit{R. Carmona} et al., Ann. Probab. 48, No. 5, 2644--2646 (2020; Zbl 07276936) Full Text: DOI Euclid
Yoshioka, Hidekazu; Yoshioka, Yumi Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems. (English) Zbl 1453.76183 Comput. Math. Appl. 80, No. 9, 2057-2072 (2020). MSC: 76M35 76M20 93E20 86A05 PDF BibTeX XML Cite \textit{H. Yoshioka} and \textit{Y. Yoshioka}, Comput. Math. Appl. 80, No. 9, 2057--2072 (2020; Zbl 1453.76183) Full Text: DOI
Brachetta, Matteo; Ceci, C. A BSDE-based approach for the optimal reinsurance problem under partial information. (English) Zbl 1452.91264 Insur. Math. Econ. 95, 1-16 (2020). MSC: 91G05 93E20 60G35 60H10 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 95, 1--16 (2020; Zbl 1452.91264) Full Text: DOI
Dadashi, Hassan Optimal investment-consumption problem: post-retirement with minimum guarantee. (English) Zbl 07275974 Insur. Math. Econ. 94, 160-181 (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 65N06 PDF BibTeX XML Cite \textit{H. Dadashi}, Insur. Math. Econ. 94, 160--181 (2020; Zbl 07275974) Full Text: DOI
Aberkane, Samir; Dragan, Vasile On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case. (English) Zbl 1453.91017 J. Difference Equ. Appl. 26, No. 7, 913-951 (2020). MSC: 91A15 91A50 91A05 93E20 PDF BibTeX XML Cite \textit{S. Aberkane} and \textit{V. Dragan}, J. Difference Equ. Appl. 26, No. 7, 913--951 (2020; Zbl 1453.91017) Full Text: DOI
Kadlec, Karel; Maslowski, Bohdan Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process. (English) Zbl 07272912 Discrete Contin. Dyn. Syst., Ser. B 25, No. 10, 4039-4055 (2020). MSC: 60H15 93E20 60G51 PDF BibTeX XML Cite \textit{K. Kadlec} and \textit{B. Maslowski}, Discrete Contin. Dyn. Syst., Ser. B 25, No. 10, 4039--4055 (2020; Zbl 07272912) Full Text: DOI
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio Optimal reduction of public debt under partial observation of the economic growth. (English) Zbl 1453.91070 Finance Stoch. 24, No. 4, 1083-1132 (2020). MSC: 91B62 91B82 60G40 PDF BibTeX XML Cite \textit{G. Callegaro} et al., Finance Stoch. 24, No. 4, 1083--1132 (2020; Zbl 1453.91070) Full Text: DOI